COST Options History — April 2013

In April 2013, COST traded between $103.61 and $109.27. ATM implied volatility averaged 15.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.3% (HV 20d: 14.7%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2013-04-24: Highest Volume — 6,907 contracts
  • 2013-04-08: Largest IV spike — 24.3% change
  • 2013-04-08: Highest IV Rank — 45.1%
  • 2013-04-18: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.41$103.61$109.27$105.81$108.43
Max Pain$104.09$100.00$105.00$100.00$105.00
ATM IV15.9%13.6%20.5%15.6%17.0%
Expected Move4.2%3.7%4.5%4.2%3.9%
HV 20d14.7%12.8%16.8%13.1%15.6%
HV 60d13.6%12.3%14.7%12.3%14.2%
IV Rank24.1%13.2%45.1%22.7%28.7%
IV Percentile38.5%5.2%92.9%36.5%56.3%
Term Structure1.3%-0.3%2.7%-0.2%2.3%
VWIV15.2%14.5%17.1%14.7%15.8%
Skew 25d2.8%2.1%3.4%2.7%2.6%
Skew 10d6.0%4.6%7.4%6.3%5.7%
Call IV 25d13.8%12.5%15.3%13.3%13.8%
Put IV 25d16.7%14.5%18.6%16.0%16.4%
Bid-Ask Spread %9.525.8113.1110.629.33
Gamma HHI0.190.150.350.170.17
Net GEX8.9M6.0M12.1M9.7M7.5M
Net DEX-185.7M-249.9M-119.2M-197.9M-182.3M
Net VEX-1.2M-1.3M-1.2M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.392.381.310.54
Total Volume3,985.7271,4306,9072,3883,462
Total OI83,889.86465,47394,52384,44573,780

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$105.81$100.0015.6%4.2%13.1%22.7%14.7%2.7%-0.2%9.7M-197.9M-1.2M1.3110.621,0331,35543,40941,036
2013-04-02$107.68$100.0015.8%3.7%12.8%23.4%14.5%2.1%0.1%12.1M-249.9M-1.2M0.709.223,5332,46843,51941,671
2013-04-03$106.36$100.0018.1%4.3%13.7%33.7%14.9%2.8%0.1%9.7M-204.9M-1.2M0.8810.021,6411,44343,76042,902
2013-04-04$106.36$100.0017.0%4.4%13.4%28.8%15.0%3.2%-0.3%10.1M-206.1M-1.3M1.2210.728621,05544,21543,317
2013-04-05$105.80$105.0016.5%4.3%13.4%26.7%15.0%2.9%1.3%9.6M-191.2M-1.2M2.3812.301,3483,20944,43843,754
2013-04-08$107.04$105.0020.5%4.4%13.5%45.1%14.8%2.9%0.1%10.0M-223.0M-1.2M0.9312.8474168943,85844,314
2013-04-09$105.79$105.0020.4%4.3%14.1%44.4%15.4%2.8%1.1%8.0M-184.5M-1.2M0.909.151,4561,31344,06444,723
2013-04-10$105.75$105.0015.6%4.3%13.5%22.6%15.3%3.0%0.8%8.8M-193.4M-1.2M1.9413.111,1112,15144,57745,379
2013-04-11$106.01$105.0014.6%4.2%13.4%18.1%14.8%3.0%1.3%6.0M-195.3M-1.2M0.915.813,0722,79644,66946,551
2013-04-12$106.13$105.0014.8%4.2%13.2%18.7%14.8%2.8%1.4%10.4M-208.9M-1.3M0.768.462,4231,84946,33947,248
2013-04-15$104.21$105.0015.7%4.5%14.3%23.0%16.1%3.0%1.0%8.6M-148.6M-1.3M1.7611.601,8333,22747,09546,753
2013-04-16$105.55$105.0014.9%4.3%14.8%19.2%15.0%2.9%1.4%11.6M-195.9M-1.3M0.527.272,5991,35947,27146,438
2013-04-17$104.77$105.0015.5%4.4%15.2%22.0%15.6%3.1%1.4%10.2M-167.8M-1.3M0.559.142,5591,41047,51447,009
2013-04-18$103.61$105.0015.7%4.5%15.4%23.2%17.1%3.4%1.8%9.2M-123.3M-1.3M1.289.211,8682,38547,46346,705
2013-04-19$104.45$105.0015.4%4.4%15.6%21.7%15.9%3.4%1.6%9.4M-149.3M-1.2M0.418.742,8481,16547,60446,721
2013-04-22$105.16$105.0015.1%4.3%14.8%20.1%15.3%3.0%1.8%6.0M-119.2M-1.2M0.678.292,3181,55435,28830,185
2013-04-23$107.25$105.0015.6%4.5%16.4%22.3%14.7%2.3%1.3%6.9M-163.5M-1.3M0.3910.303,4631,35136,27931,067
2013-04-24$107.83$105.0013.7%3.9%16.4%13.6%15.3%2.1%2.0%7.6M-179.0M-1.3M0.599.274,3372,57037,27031,436
2013-04-25$109.13$105.0013.6%3.9%16.8%13.2%14.9%2.8%2.5%8.6M-210.5M-1.2M0.777.822,3981,83539,00932,437
2013-04-26$109.27$105.0014.0%3.8%16.6%15.2%14.8%2.6%2.7%8.3M-205.1M-1.3M1.127.781,8852,11238,84633,164
2013-04-29$108.63$105.0016.0%4.0%16.8%24.4%14.8%2.6%2.3%7.5M-186.5M-1.2M0.998.381,8091,79138,63933,861
2013-04-30$108.43$105.0017.0%3.9%15.6%28.7%15.8%2.6%2.3%7.5M-182.3M-1.3M0.549.332,2471,21539,12834,652